The persistence of the free will problem in philosophy seems to me something of a scandal. After all these centuries of writing about free will, it does not seem to me that we have made very much progress.
(Freedom and Neurobiology, p.37)

Two centuries ago, Immanuel Kant called it a scandal that academic philosophers were so out of touch with the common sense of the masses when they doubted the existence of the external world. David Hume had criticized the Theory of Ideas of his fellow British empiricists John Locke and George Berkeley. If they are right that knowledge is limited to perceptions of sense data, we cannot "know" anything about external objects, even our own bodies.
Kant's main change in the second edition of the Critique of Pure Reason was an attempted refutation of this idealism (B 273). He thought he had a proof of the existence of the external world. Kant thought it a scandal in philosophy that we must accept the existence of things outside ourselves merely as a belief, with no proof. He said that "speculative metaphysics must be investigated

to prevent the scandal which metaphysical controversies are sure, sooner or later, to cause even to the masses.

However innocent idealism may be considered with respect to the essential purposes of metaphysics (without being so in reality), it remains a scandal to philosophy, and to human reason in general, that we should have to accept the existence of things outside us (from which after all we derive the whole material for our knowledge, even for that of our inner sense) merely on trust, and have no satisfactory proof with which to counter any opponent who chooses to doubt it.
(Preface to Second Edition, Critique of Pure Reason)

The "scandal of philosophy" is not that this proof has yet to be given, but that such proofs are expected and attempted again and again.
(Being and Time, Macquarrie and Robinson, translators, pp. 249)

Moritz Schlick agreed with Heidegger. He thought it a scandal that so much energy had been wasted on a "pseudo-problem."

This is the so-called problem of the freedom of the will. Moreover, this pseudo-problem has long since been settled by the efforts of certain sensible persons; and, above all, the state of affairs just described has been often disclosed — with exceptional clarity by Hume. Hence it is really one of the greatest scandals of philosophy that again and again so much paper and printer's ink is devoted to this matter, to say nothing of the expenditure of thought, which could have been applied to more important problems.

("When Is a Man Responsible," in Problems in Ethics, translated in Freedom and Determinism, ed. B. Berofsky, p.54)

The free will scandal is related to the knowledge scandal because so many philosophers and scientists have thought that they could prove that free will does not exist, that it is an illusion.

To be responsible for our actions, they must have been caused by something within us, they must "depend on us" (the Greeks called this ἐφ ἡμῖν). Modern "agent-causal" theorists demand that something in the agent's mind - perhaps a uniquely mental substance - gives us the power to cause our actions.